We present high-resolution infrared spectra of HL Tau, a heavily embedded young star. The spectra exhibit broad emission lines of hot CO gas as well as narrow absorption lines of cold CO gas. The column density for this cooler material (7.5+/-0.2 x 10^18 cm-2) indicates a large column of absorbing gas along the line of sight. In dense interstellar clouds, this column density of CO gas is associated with Av~52 magnitudes. However, the extinction toward this source (Av~23) suggests that there is less dust along the line of sight than inferred from the CO absorption data. We discuss three possibilities for the apparent paucity of dust along the line of sight through the flared disk: 1) the dust extinction has been underestimated due to differences in circumstellar grain properties, such as grain agglomeration; 2) the effect of scattering has been underestimated and the actual extinction is much higher; or (3) the line of sight through the disk is probing a gas-rich, dust-depleted region, possibly due to the stratification of gas and dust in a pre-planetary disk.